CodeDom generates assemblies, and you can either generate them in memory, or to the disk. The CompilerParameters class has the GenerateInMemory and GenerateExecutable properties, which can control how and where the code is generated.
Example:
CodeDom Calculator - Evaluating C# Math Expressions dynamically
http://www.c-sharpcorner.com/uploadfile/mgold/codedomcalculator08082005003253am/codedomcalculator.aspx